How does one calculate the accuracy of forecasts given by GARCH models considering GARCH is run on returns. Assuming GARCH is a derivative of a regression based prediction model, would regular statistics like R squared, MAPE/ SMAPE etc be the right indicator for the performance? Unlike ARIMA where the predictive power just dies down after a forecast interval, I experience GARCH forecasting values of almost any time period specified. How would one be able to identify if there is any randomness in the forecasted values?
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